You leave them outside.
They are perennials and you'll see them die down over winter but their roots are still very much alive, they'll start to produce new growth in spring.
If you molly-coddle these they'll not develop into the plants they should be so definately don't take them inside.

I grow a lot here because they're such lovely flowers.

In contradiction to Louise, I've lost a few over the years, so cover yourself and put one under cover outside! Mine are in a more sheltered site this year, but I've still kept a couple of plants back to go under cover just in case.
Sorry Louise, just my experience.

No problem at all Meanie, we can only report as we experience it :-)

I don't molly coddle mine, but then I have to grow them as annuals. They certainly don't like the winters up here. And I only grow them like that, as I bought a packet of seeds a couple of years and I grow a few a year until the seeds run out or become unviable.